Separating microstructure noise from volatility

Bandi, Federico M.; Russell, Jeffrey R.

doi:10.1016/j.jfineco.2005.01.005

Cited by 505 publications

(150 citation statements)

References 39 publications

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“…It is common practice in the realized variance literature to use midpoints of bid-ask quotes as measures of the true prices, which are generally less noisy measures of the efficient prices than are transaction prices since they do not suffer from bid-ask bounce effects (Bandi and Russell, 2006). The selection of 5-minute returns as the optimal sampling frequency is probably the most popular choice and has been used extensively in the realized volatility literature Bollerslev, 1997, 1998;Andersen et al, 2001a,b).…”

Section: Page 12 Of 36mentioning

confidence: 99%

A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework

Papavassiliou

2013

Journal of International Financial Markets, Institutions and Mo

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A c c e p t e d M a n u s c r i p t  We propose a new non-parametric method for estimating stock liquidity betas  We provide evidence that liquidity risk is a factor priced in the Greek market  The level of liquidity seems to be an irrelevant variable in asset pricing Working under a liquidity-adjusted CAPM framework we provide evidence that liquidity risk is a factor priced in the Greek stock market, mainly arising from the covariation of individual liquidity with local market liquidity, however, the level of liquidity seems to be an irrelevant variable in asset pricing. Our findings provide support to the notion that liquidity shocks transmitted across securities can cause market-wide effects and can have important implications for portfolio diversification strategies.

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Section: Page 12 Of 36mentioning

confidence: 99%

A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework

Papavassiliou

2013

Journal of International Financial Markets, Institutions and Mo

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“…2 See Andersen, Bollerslev, and Diebold (2003), Bai, Russell, and Tiao (2000), Aït-Sahalia, Mykland, and Zhang (2006), Barndorff-Nielsen and Shephard (2003), Bandi and Russell (2005), Zhang, Mykland, and Aït-Sahalia (2005), and Hansen and Lunde (2006). 3 See Bates (1996), Bakshi, Cao, and Chen (1997), Aït-Sahalia (2002), Andersen, Benzoni, and Lund (2002), Pan to the presence of jumps in efficient prices.…”

Section: And the Reference Therein]mentioning

confidence: 99%

Jumps in equilibrium prices and market microstructure noise

Lee

Mykland

2012

Journal of Econometrics

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“…In order to reduce the bias and mean squared error one can include covariances. Another solution is the choice of optimal sampling frequency (Bandi and Russell [3,4,6]), Zhang et al [46], Hansen and Lunde [26,27] and Oomen [36]). …”

Section: Realized Volatilitymentioning

confidence: 99%